Volatility Estimation of Multivariate ARMA-GARCH Model

GARCH models play an extremely important role in financial time series.However,the parameter estimation of the multivariate GARCH model is challenging because the parameter number is square of the dimension of the model.In this paper,the model of structural vector autoregressive moving⁃average(ARMA)with GARCH is discussed and an efficient multivariate impulse response estimation method is proposed.First,the causal structure of the model was identified and the independent component of error term vector was estimated by DirectLiNGAM algorithm.Then,the relationship between conditional heteroscedasticity of the independent component of error term vector and that of residual vector was constructed,and the estimation of the impulse response of conditional volatility of multivariate GARCH models was translated to the estimation of the impulse response of error term vector.The independency among the independent components was translated to the impulse response estimation of the univariate case and the causal structure was maintained.Finally,the proposed estimation method was used to estimate the volatility of stock market,which proved that the method is computational efficient.

Monetary Policy and Unemployment:The Case of Romania

The paper aims to analyze the monetary transmission model between the monetary policy and the labor market variable of unemployment.The results of the data show that,the external shocks have an important impact especially on the Romanian interest rates but also on the domestic production;however,the impact is not significant on unemployment,which proves the resilience of the domestic labor market.The central bank policy rate has a stabilizing effect on the unemployment rate in case of an increase in the euro area policy rate.

Impact of the Global Financial Crisis on China: Empirical Evidence and Policy Implications

This paper applies a structural vector autoregression analysis to quantify the impact of the global financial crisis on China. It is found that the impact is indeed sizeable： a 1-percent decline in economic growth in the USA, the EU and Japan is likely to lead to a0. 73-percent decline in growth in China. The article discusses whether the current measures of fiscal stimulus are adequate to offset the sharp decline in external demand Although there is little doubt that the massive fiscal stimulus will largely offset the significant shortfalls in external demand, the current growth pattern in China will be increasingly unsustainable in the long term. China ＂s reform cycles suggest that external shocks are often opportunities for structural reforms. Therefore, the crisis could also be a catulyst for rebalancing China ＇s economic structure so as to return the economy to a sustainable path.

Optimal Monetary Policy in China

Using the structural vector autoregression model, we estimate the current responses of monetary policy to contemporaneous shocks from macroeconomic variables. Our findings indicate that the People＇s Bank of China responded to inflation and output changes, but did not react to asset price fluctuations during the period from January 1997 to March 2010. The optimal monetary responses to exogenous shocks are also examined It is revealed that using asset prices to formulate monetary policy would not help to improve monetary authorities ＇performance in lowering the volatilities of output growth and inflation while keeping output growth and inflation in their safety zones. The effectiveness of monetary policy and fiscal policy in reacting to external shocks is also discussed.